Maximilian Renz

Frankfurt School of Finance & Management

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

529

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

What Goes up Must Not Come Down - Time Series Momentum in Factor Risk Premiums

Number of pages: 54 Posted: 05 Feb 2018
Maximilian Renz
Frankfurt School of Finance & Management
Downloads 325 (127,814)
Citation 3

Abstract:

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time-varying risk premiums, return predictability, time series momentum, dynamic risk factor strategy, conditional asset pricing, sentiment

2.

A Macroeconomic Hedge Portfolios and the Cross-Section of Stock Returns

Number of pages: 46 Posted: 25 May 2016 Last Revised: 27 Jan 2018
Maximilian Renz and Olaf Stotz
Frankfurt School of Finance & Management and Frankfurt School of Finance and Management
Downloads 179 (227,421)

Abstract:

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Asset Pricing, Expected Returns, Scheduled Macroeconomic Announcements, Macroeconomic Hedge Portfolio, Characteristic-sorted Risk Factors

3.

What Do Hedge Portfolios Hedge? Evidence From an Intertemporal CAPM in the Presence of Background Wealth

Number of pages: 55 Posted: 08 Jan 2019
Maximilian Renz and Olaf Stotz
Frankfurt School of Finance & Management and Frankfurt School of Finance and Management
Downloads 25 (647,402)

Abstract:

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Asset Pricing, Hedge Portfolios, Expected Returns, Background Wealth, ICAPM, Return Decomposition